Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 1 | 2 | 2 |
| Score | -5.34 | -3.61 | -5.37 |
| Market Cap (Millions USD) | 1237.17 | 1190.36 | 1360.68 |
| Predicted Beta | 1.89 | 1.88 | 1.87 |
| Idiosyncratic Volatility | 3.31 | 3.35 | 4.39 |
Annualized return and volatility
| IYG | |
|---|---|
| Annualized Return | 0.0490 |
| Annualized Std Dev | 0.2921 |
| Annualized Sharpe (Rf=0%) | 0.1677 |
Row
Daily Return Statistics
| IYG | |
|---|---|
| Observations | 4992.0000 |
| NAs | 121.0000 |
| Minimum | -0.1724 |
| Quartile 1 | -0.0066 |
| Median | 0.0001 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0076 |
| Maximum | 0.1710 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0184 |
| Skewness | 0.4099 |
| Kurtosis | 14.9826 |
Downside Risk
| IYG | |
|---|---|
| Semi Deviation | 0.0128 |
| Gain Deviation | 0.0149 |
| Loss Deviation | 0.0142 |
| Downside Deviation (MAR=210%) | 0.0171 |
| Downside Deviation (Rf=0%) | 0.0126 |
| Downside Deviation (0%) | 0.0126 |
| Maximum Drawdown | 0.8184 |
| Historical VaR (95%) | -0.0256 |
| Historical ES (95%) | -0.0431 |
| Modified VaR (95%) | -0.0221 |
| Modified ES (95%) | -0.0221 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-21 | 2009-03-06 | 2017-09-19 | -0.8184 | 2711 | 527 | 2184 |
| 2001-01-31 | 2002-10-09 | 2003-10-13 | -0.3495 | 690 | 430 | 260 |
| 2018-01-29 | 2018-12-24 | 2019-07-23 | -0.2457 | 379 | 233 | 146 |
| 2000-09-13 | 2000-10-12 | 2000-12-28 | -0.1455 | 76 | 23 | 53 |
| 2004-03-08 | 2004-05-10 | 2004-11-04 | -0.1155 | 171 | 46 | 125 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IYG | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | 0.0 | 0.6 | 0.1 | 0.0 | -0.9 | -0.3 | 0.0 | -0.4 |
| 2001 | 0.4 | 0.1 | 0.0 | 0.2 | 0.1 | 0.0 | 0.9 | 0.0 | 0.6 | 1.7 | 0.0 | 0.0 | 4.0 |
| 2002 | -0.4 | 1.2 | -0.8 | 0.4 | 0.0 | -1.7 | -1.9 | 0.0 | 4.1 | 1.8 | 0.0 | 0.0 | 2.5 |
| 2003 | 0.0 | 0.0 | 1.3 | -0.3 | 0.0 | 1.1 | -2.4 | 0.0 | 2.4 | 0.0 | 0.7 | 0.0 | 2.8 |
| 2004 | 0.0 | 0.7 | 0.8 | 0.0 | -0.6 | -1.0 | 0.0 | -0.2 | 1.4 | 0.2 | 1.9 | 0.0 | 3.2 |
| 2005 | 1.3 | 1.2 | -1.1 | 0.0 | 0.4 | -0.1 | 0.4 | 0.3 | 0.0 | -0.9 | 0.7 | 0.0 | 2.0 |
| 2006 | -0.3 | 0.6 | 0.0 | -1.6 | 1.3 | 0.0 | -0.1 | 0.2 | 0.0 | -1.0 | -0.6 | 0.0 | -1.6 |
| 2007 | 0.6 | -0.3 | 0.0 | 0.4 | 0.4 | 0.0 | 0.1 | 0.0 | 2.3 | -5.0 | 0.0 | 0.0 | -1.7 |
| 2008 | 2.3 | 0.0 | 7.8 | 4.5 | 0.0 | 1.2 | 0.8 | 0.0 | 3.5 | 0.0 | -16.2 | 0.0 | 2.1 |
| 2009 | 0.0 | 0.0 | 2.9 | -0.8 | 0.9 | -0.6 | 0.0 | -4.9 | -4.0 | 0.0 | 0.0 | 0.0 | -6.6 |
| 2010 | 1.4 | 0.1 | 0.9 | 0.0 | -2.1 | -0.7 | 0.0 | 4.0 | 1.1 | -0.4 | 2.3 | 0.0 | 6.7 |
| 2011 | 2.3 | -2.0 | 0.9 | 0.0 | -3.7 | 2.1 | -0.1 | -2.6 | 0.0 | -5.3 | -0.7 | 0.0 | -9.1 |
| 2012 | 1.7 | 1.5 | 0.0 | 1.2 | -4.2 | 0.0 | -0.8 | 0.0 | 0.9 | 1.9 | 0.0 | 0.0 | 2.2 |
| 2013 | 1.5 | 0.2 | -0.8 | -1.4 | 0.0 | 0.7 | 1.9 | 0.0 | 0.7 | 0.6 | 0.0 | 0.0 | 3.3 |
| 2014 | 0.0 | 0.0 | 0.5 | -0.1 | 0.0 | 0.9 | -1.2 | 0.0 | -1.4 | 0.0 | -1.1 | 0.0 | -2.4 |
| 2015 | 0.0 | 0.0 | -0.3 | 0.5 | 0.0 | 1.2 | 0.0 | -4.0 | 0.3 | 0.0 | 0.9 | 0.0 | -1.4 |
| 2016 | -0.6 | 3.9 | 0.9 | 0.0 | 0.4 | -0.6 | -0.6 | -0.5 | 0.0 | -0.4 | 1.4 | 0.0 | 4.0 |
| 2017 | 0.2 | 2.8 | 0.0 | 0.6 | 1.2 | 0.0 | 0.8 | 0.6 | 0.0 | 0.2 | 0.0 | 0.0 | 6.6 |
| 2018 | 1.1 | -1.6 | 0.0 | 0.1 | 1.3 | 0.0 | 0.3 | 0.0 | 0.3 | 0.8 | 0.0 | 0.0 | 2.3 |
| 2019 | 0.7 | 0.7 | 2.4 | -1.0 | 0.0 | 1.1 | -2.0 | 0.0 | -2.0 | 1.5 | 0.0 | -0.1 | 1.1 |
Row
Rolling Performance Chart
Snail Trail Chart
